Rough ZABR

13 Pages Posted: 14 Dec 2022

Date Written: November 4, 2022

Abstract

In this paper we find expansion formulas for European option prices in a rough ZABR model. The approximation order is O(T^2H) where H is the Hurst coefficient and T is maturity.

Keywords: Rough Volatility, Short Maturity Expansion, SABR, ZABR

Suggested Citation

Andreasen, Jesper and Huge, Brian Norsk, Rough ZABR (November 4, 2022). Available at SSRN: https://ssrn.com/abstract=4285702 or http://dx.doi.org/10.2139/ssrn.4285702

Jesper Andreasen

Verition Group LLC ( email )

20 st james street
London, SW1A 1ES
United Kingdom

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